Ioannis Karatzas

16 papers C 1Journal 15
YearRankTypeTitle / Venue / Authors
2021 J jnl
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains.
Commun. Inf. Syst.
Ioannis Karatzas, Jan Maas, Walter Schachermayer
2017 J jnl
Trading strategies generated by Lyapunov functions.
Finance Stochastics
Ioannis Karatzas, Johannes Ruf
2011 J jnl
Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations.
SIAM J. Math. Anal.
Athanasios N. Yannacopoulos, Nikolaos E. Frangos, Ioannis Karatzas
2009 J jnl
Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs.
SIAM J. Control. Optim.
Nikolaos Englezos, Ioannis Karatzas
2007 C conf
Some Stochastic Control Problems in Mathematical Finance.
ACC
Ioannis Karatzas
2007 J jnl
The numéraire portfolio in semimartingale financial models.
Finance Stochastics
Ioannis Karatzas, Constantinos Kardaras
2006 J jnl
Adaptive Poisson disorder problem
CoRR
Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas
2005 J jnl
Diversity and relative arbitrage in equity markets.
Finance Stochastics
Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras
2003 J jnl
Non-addictive habits: optimal consumption-portfolio policies.
J. Econ. Theory
Jérôme Detemple, Ioannis Karatzas
2000 J jnl
Utility Maximization with Discretionary Stopping.
SIAM J. Control. Optim.
Ioannis Karatzas, Hui Wang
1999 J jnl
On dynamic measures of risk.
Finance Stochastics
Jaksa Cvitanic, Ioannis Karatzas
1998 J jnl
Hedging American contingent claims with constrained portfolios.
Finance Stochastics
Ioannis Karatzas, S. G. Kou
1996 J jnl
Irreversible investment and industry equilibrium.
Finance Stochastics
Fridrik M. Baldursson, Ioannis Karatzas
1994 J jnl
Construction of Stationary Markov Equilibria in a Strategic Market Game.
Math. Oper. Res.
Ioannis Karatzas, Martin Shubik, William D. Sudderth
1990 J jnl
Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model.
Math. Oper. Res.
Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve
1986 J jnl
Explicit Solution of a General Consumption/Investment Problem.
Math. Oper. Res.
Ioannis Karatzas, John P. Lehoczky, Suresh P. Sethi, Steven E. Shreve